Timac
- hypothetical · Annual Return (Compounded)
- -24.7%
- Max Drawdown
- 99.7%
- Trades
- 502
- Win Trades
- 31.3%
- Profit Factor
- 1
- Win Months
- 11.0%
About this strategy
Timac is a system which looks for specific breakouts in the FX Markets, Futures and Stock Markets. This model is used in conjunction with overbought/oversold indicators.
A position may be held from a few days up to several months.
The philosophy I subscribe to in my Trading style is that:
"The way to make big Money is to identify the main Trend and then stick with that move for as long as possible. There may be times where my Trading Model will take small loses and times where it may take a big loss, but as long as we can stay with a Major Trend when it occurs we are going to make some good profits. Most of the time Trading is a waiting game, but when a main Market move occurs it is important that we do not take our profit too early and we stay with the move for as long as possible."
A position may be held from a few days up to several months.
The philosophy I subscribe to in my Trading style is that:
"The way to make big Money is to identify the main Trend and then stick with that move for as long as possible. There may be times where my Trading Model will take small loses and times where it may take a big loss, but as long as we can stay with a Major Trend when it occurs we are going to make some good profits. Most of the time Trading is a waiting game, but when a main Market move occurs it is important that we do not take our profit too early and we stay with the move for as long as possible."
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | 55.4 | 25.1 | -60.4 | 213.7 | 74.5 | 321.4 | |||||||
| 2006 | 19.2 | 9.6 | 59.0 | 49.5 | 1.4 | -6.5 | -2.9 | -2.2 | -16.9 | -6.5 | 38.5 | -8.3 | 175.5 |
| 2007 | -20.4 | 21.3 | -17.0 | 12.4 | -9.7 | -20.2 | -16.2 | -27.1 | 83.3 | -2.2 | -0.9 | -14.3 | -39.8 |
| 2008 | 31.2 | 82.8 | 25.4 | -6.9 | -14.1 | 2.2 | -2.7 | 16.2 | 8.0 | 62.7 | 8.0 | 9.2 | 476.1 |
| 2009 | 21.4 | 9.3 | -38.5 | 30.1 | 56.3 | -37.1 | -11.9 | -28.3 | 74.9 | -21.9 | 28.1 | -21.8 | -9.8 |
| 2010 | -11.2 | -36.7 | -13.5 | -87.6 | -193.8 | -55.7 | -13.6 | -55.0 | -13.9 | -16.1 | -35.5 | -6.3 | -112.3 |
| 2011 | -16.5 | -8.8 | -4.9 | -23.1 | -7.3 | -32.4 | -17.0 | -13.4 | -37.9 | -6.5 | -15.0 | -3.4 | |
| 2012 | -10.5 | -3.7 | -0.7 | -7.6 | -39.8 | -7.8 | -2.1 | -5.9 | -8.5 | -3.0 | -5.7 | -4.2 | |
| 2013 | -13.0 | -24.0 | -0.4 | -5.9 | -8.9 | -1.1 | -0.8 | -5.9 | -16.8 | -6.1 | -6.8 | -4.2 | |
| 2014 | -3.0 | -10.0 | -5.0 | -6.5 | -6.0 | -35.5 | -14.3 | -11.0 | -19.3 | -8.9 | -13.2 | -3.5 | |
| 2015 | -5.0 | -0.5 | -7.1 | -3.6 | -1.4 | -90.1 | -0.3 | -1.6 | -2.0 | -1.5 | -2.4 | -1.3 | |
| 2016 | -4.4 | -1.2 | -0.6 | -2.1 | -0.4 | -8.2 | -0.7 | -0.4 | -1.9 | -4.1 | -1.8 | -2.1 | |
| 2017 | -1.6 | -1.5 | -0.4 | -1.2 | -0.1 | -0.2 | -0.8 | -1.5 | -2.0 | -0.8 | -0.4 | -0.3 | |
| 2018 | -3.1 | -0.6 | -0.1 | -2.5 | -1.6 | -1.0 | -0.7 | -1.2 | -0.3 | -1.6 | -0.1 | -1.0 | |
| 2019 | -2.4 | -0.0 | -0.3 | -1.1 | -0.5 | -3.0 | 0.0 | -2.4 | -0.3 | -2.8 | -0.7 | -1.6 | |
| 2020 | -0.3 | -1.6 | -2.5 | -0.3 | -1.5 | -1.0 | -3.1 | -0.2 | -1.8 | -0.1 | -1.5 | -0.9 | |
| 2021 | -0.4 | -1.0 | -0.9 | -0.3 | -1.0 | -1.5 | -0.2 | -1.2 | -1.2 | -0.8 | -2.2 | -0.7 | |
| 2022 | -0.5 | -0.1 | -1.3 | -1.8 | -1.3 | -1.9 | -1.3 | -0.8 | -5.2 | -3.1 | -2.4 | -0.4 | |
| 2023 | -0.8 | -1.0 | -0.7 | -0.8 | -0.9 | -1.0 | -0.1 | -0.8 | -1.8 | -0.1 | -1.5 | -0.2 | |
| 2024 | -0.3 | -0.4 | -0.4 | -0.5 | -0.6 | -0.5 | -0.7 | -0.9 | -0.4 | -1.6 | -1.3 | -0.7 | |
| 2025 | -0.7 | -0.6 | -1.1 | -1.2 | -0.6 | -1.1 | -0.9 | -0.8 | -0.2 | -0.2 | -0.2 | -0.2 | |
| 2026 | -0.2 | -0.2 | -0.2 | -0.2 | -0.2 | -0.2 | -0.2 | -0.2 | 0.0 | -1.5 |
Statistics
Overview
| Strategy began | 8/17/2005 |
|---|---|
| Suggested Minimum Capital | $2,082 |
| Age | 257 months |
| What it trades | Futures, Forex |
| # Trades | 502 |
| # Profitable | 157 |
| % Profitable | 31.3% |
| Avg trade duration | 26.1 days |
| Max peak-to-valley drawdown | 99.7% |
| drawdown period | June 03, 2009 - July 09, 2013 |
| Annual return (compounded) | 0.0% |
| Avg win | $2,551 |
| Avg loss | $1,184 |
Ratios
| W:L ratio | 0.98 |
|---|---|
| Sharpe Ratio | 0.29 |
| Sortino Ratio | 0.38 |
| Calmar Ratio | -0.71 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.06 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 524.8% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | 65.3% |
Return Statistics
| Ann Return (w trading costs) | -24.7% |
|---|---|
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 0.0% |
Slump
| Current Slump as Pcnt Equity | — |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.8% |
Instruments
| Percent Trades Forex | 0.6% |
|---|---|
| Percent Trades Futures | 0.3% |
| Percent Trades Options | 0.0% |
| Percent Trades Stocks | 0.1% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 97.6% |
|---|---|
| Chance of 20% account loss | 92.9% |
| Chance of 30% account loss | 83.7% |
| Chance of 40% account loss | 86.4% |
| Chance of 50% account loss | 75.6% |
| Chance of 60% account loss (Monte Carlo) | 67.4% |
| Chance of 70% account loss (Monte Carlo) | 61.7% |
| Chance of 80% account loss (Monte Carlo) | 41.7% |
| Chance of 90% account loss (Monte Carlo) | 26.5% |
| Chance of 100% account loss (Monte Carlo) | 0.0% |
Automation
| Percentage Signals Automated | 0.1% |
|---|
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $1,184 |
|---|---|
| Avg Win | $2,551 |
| # Winners | 157 |
| Sum Trade PL (losers) | $408,614 |
| Sum Trade PL (winners) | $400,557 |
| Num Months Winners | 28 |
| # Losers | 345 |
| % Winners | 31.3% |
Dividends
| Dividends Received in Model Acct | 367 |
|---|
Age
| Num Months filled monthly returns table | 58 |
|---|
Frequency
| Avg Position Time (mins) | 37616.97 |
|---|---|
| Avg Position Time (hrs) | 626.95 |
| Avg Trade Length | 26.10 |
| Last Trade Ago | 389 |
Regression
| Alpha | 0 |
|---|---|
| Beta | -33851.34 |
| Treynor Index | 0 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.03 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.05 |
| MAE:Equity, average, losing trades | 0.04 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.01 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | -10.72 |
| MAE:PL (avg, all trades) | -0.68 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 23.15 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 12.44 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.22 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.16 |
| Hold-and-Hope Ratio | -0.13 |
RATIO STATISTICS
| a (intercept, estimate of alpha) | 3.36 |
|---|---|
| VAR (95 Confidence Intrvl) | 0.28 |
DRAW DOWN STATISTICS
| Max Equity Drawdown (num days) | 1497 |
|---|---|
| Last 4 Months - Pcnt Negative | 1.0% |
Trading record
Placed 128 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| GBP/USD | long | 40 | Jul 15, 2010 | Aug 21, 2025 | ($8,192) |
| AUD/USD | long | 40 | Aug 1, 2010 | Aug 15, 2010 | ($902) |
| USD/JPY | short | 20 | Jul 30, 2010 | Aug 12, 2010 | $0 |
| EUR/USD | long | 20 | Jul 29, 2010 | Aug 11, 2010 | ($448) |
| USD/CAD | short | 20 | Aug 6, 2010 | Aug 11, 2010 | ($329) |
| USD/JPY | short | 80 | Jul 1, 2010 | Aug 6, 2010 | $3 |
| GBP/USD | short | 150 | May 16, 2010 | Jun 1, 2010 | ($4,048) |
| GC M0 | long | 3 | Apr 30, 2010 | May 19, 2010 | $7,006 |
| SI N0 | long | 1 | May 14, 2010 | May 19, 2010 | ($4,158) |
| SI K0 | long | 1 | May 4, 2010 | May 11, 2010 | ($8) |
| GBP/USD | short | 100 | May 6, 2010 | May 10, 2010 | ($1,675) |
| GBP/USD | short | 50 | May 7, 2010 | May 10, 2010 | ($1,535) |
| EUR/JPY | short | 50 | May 7, 2010 | May 7, 2010 | ($2) |
| EUR/JPY | short | 150 | May 6, 2010 | May 6, 2010 | ($6) |
| S K0 | long | 2 | Apr 21, 2010 | May 4, 2010 | ($2,891) |
| USD/CAD | short | 240 | Mar 10, 2010 | May 4, 2010 | ($1,398) |
| CT N0 | long | 3 | Apr 21, 2010 | Apr 29, 2010 | ($3,699) |
| HO K0 | long | 3 | Apr 1, 2010 | Apr 19, 2010 | ($6,185) |
| AUD/USD | long | 180 | Apr 6, 2010 | Apr 18, 2010 | ($2,494) |
| QSI K0 | long | 2 | Apr 9, 2010 | Apr 16, 2010 | ($6,841) |
| GC M0 | long | 1 | Apr 9, 2010 | Apr 16, 2010 | ($1,868) |
| QGC M0 | long | 3 | Apr 6, 2010 | Apr 16, 2010 | ($6,374) |
| USD/CHF | short | 120 | Mar 31, 2010 | Apr 5, 2010 | ($2,658) |
| QSI H0 | long | 3 | Mar 2, 2010 | Apr 2, 2010 | $2,301 |
| GBP/CHF | short | 200 | Feb 28, 2010 | Apr 1, 2010 | $874 |
| QGC J0 | long | 2 | Feb 21, 2010 | Mar 22, 2010 | ($7,946) |
| EUR/GBP | long | 150 | Mar 1, 2010 | Mar 17, 2010 | ($2,452) |
| USD/JPY | short | 50 | Mar 2, 2010 | Mar 5, 2010 | ($6) |
| CT H0 | long | 4 | Feb 18, 2010 | Mar 1, 2010 | $9,203 |
| GBP/CHF | long | 50 | Feb 28, 2010 | Feb 28, 2010 | ($24) |
Past results are not necessarily indicative of future results.
These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.